← backtests · 09-16 20:46Z · MOCK data
research fx.mean_reversion GBPUSD
isolated fx.mean_reversion GBPUSD
Return+0.38%CAGR 0.16%
Max drawdown0.84%504 days
Sharpe / Sortino0.33 / 0.05Calmar 0.19
Trades4win 50% · PF 1.67
Expectancy+0.236R$96 per trade
Costs$40financing $-17 · turnover 2.2
| regime usd | Trades | Exp R | P&L |
|---|---|---|---|
| neutral | 1 | −1.08 | −278 |
| usd weakening | 3 | +0.67 | +662 |
| session | Trades | Exp R | P&L |
|---|---|---|---|
| london | 2 | −1.05 | −570 |
| new york | 1 | +1.54 | +455 |
| london,new york | 1 | +1.51 | +499 |
| review class | Trades | Exp R | P&L |
|---|---|---|---|
| wrong regime | 1 | −1.08 | −278 |
| normal variance | 1 | −1.03 | −292 |
| thesis confirmed | 2 | +1.53 | +954 |
- spread sane
- 10
- event policy
- 3
- confidence minimum
- 55
- risk reward minimum
- 57
- no conflicting position
- 1
- market liquidity allows entry
- 10
MOCK data: results demonstrate the machinery, not edge in real markets
- risk
- risk-1.0.0+df3ec7da
- execution
- exec-1.0.0+821dd562
- confidence
- conf-1.0.0+18bcb659
- data_source
- mock
- feature_set
- fs-1.0.0+bbfe6af5
- regime_model
- regime-rules-1.0.0+ba09c5ab
- strategy:fx.mean_reversion
- fx.mean_reversion@1.0.0